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Content: International Finance 26/3 内容:国际金融26/3
IF 1.2 4区 经济学
International Finance Pub Date : 2023-12-05 DOI: 10.1111/infi.12443
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引用次数: 0
Capital inflows to emerging countries and their sensitivity to the global financial cycle 新兴国家的资本流入及其对全球金融周期的敏感性
IF 1.2 4区 经济学
International Finance Pub Date : 2023-11-28 DOI: 10.1111/infi.12442
Ines Buono, Flavia Corneli, Enrica Di Stefano
{"title":"Capital inflows to emerging countries and their sensitivity to the global financial cycle","authors":"Ines Buono,&nbsp;Flavia Corneli,&nbsp;Enrica Di Stefano","doi":"10.1111/infi.12442","DOIUrl":"10.1111/infi.12442","url":null,"abstract":"<p>We studied how the effect of global and domestic factors on capital flows towards emerging market economies has changed in the last 25 years. We find that both the global financial crisis and the so-called “taper tantrum” (TT) event, defined as the point in time when investors perceived the end of the US Federal Reserve's unconventional monetary policy, triggered changes in the sensitivity of capital inflows to their main drivers. In particular, we provide evidence that international investors devoted growing attention to global factors. Moreover, we show that the TT marked the beginning of a new phase, characterized by increased sensitivity to both global conditions and government borrowing by recipient countries.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"27 1","pages":"17-34"},"PeriodicalIF":1.2,"publicationDate":"2023-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138515757","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
What is the optimal capital ratio implying a stable European banking system? 意味着欧洲银行体系稳定的最优资本比率是多少?
IF 1.2 4区 经济学
International Finance Pub Date : 2023-10-09 DOI: 10.1111/infi.12438
Petr Jakubik, Bogdan Gabriel Moinescu
{"title":"What is the optimal capital ratio implying a stable European banking system?","authors":"Petr Jakubik,&nbsp;Bogdan Gabriel Moinescu","doi":"10.1111/infi.12438","DOIUrl":"10.1111/infi.12438","url":null,"abstract":"<p>This paper aims to determine the ‘new normal’ for banking stability in terms of capital adequacy, reviewing the incidence of banking stress episodes by lagged solvency ratios, based on the experience at the European level after the global financial crisis. We provide rating ladders for both risk-weighted solvency ratios and a simple gearing (leverage) ratio for time horizons of up to 3 years using well-known credit risk scoring procedures. Our findings empirically confirm that the recent dual metric structure of the capital adequacy framework is conducive to enhancing the accuracy of banking stability assessment. Specifically, our empirical analysis suggests that both tier 1 capital ratio and leverage ratio generally remain statistically significant in multivariate combinations for crisis probability measurement purposes. Robustness checks with well-established macrofinancial indicators as control variables suggest that this tandem is hardly replaceable in multivariate early warning systems by combinations of macroimbalance and financial soundness indicators traditionally employed as leading factors of banking crises. Moreover, the pandemic period provides meaningful evidence that robust capital positions, in line with our estimate, have so far been ‘part of the solution’ for dealing with systemic events.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"26 3","pages":"324-343"},"PeriodicalIF":1.2,"publicationDate":"2023-10-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/infi.12438","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135146699","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Determinants of market-assessed sovereign default risk: Macroeconomic fundamentals or global shocks? 市场评估的主权违约风险的决定因素：宏观经济基本面还是全球冲击？
IF 1.2 4区 经济学
International Finance Pub Date : 2023-10-05 DOI: 10.1111/infi.12440
Dooyeon Cho, Dong-Eun Rhee
{"title":"Determinants of market-assessed sovereign default risk: Macroeconomic fundamentals or global shocks?","authors":"Dooyeon Cho,&nbsp;Dong-Eun Rhee","doi":"10.1111/infi.12440","DOIUrl":"10.1111/infi.12440","url":null,"abstract":"<p>This paper investigates the macroeconomic fundamentals that international investors consider crucial when assessing a country's default risk. Using panel data for 41 countries over the period 2002–2019, we find that the macroeconomic determinants of a sovereign credit default swap (CDS) are heterogeneous across developed and developing economies after controlling for potential endogeneity. While international investors consider government budget balance and inflation as crucial elements in the evaluation of the CDS of developed economies, more stress is placed on economic growth and foreign reserves in the assessment of the creditworthiness of developing economies. Furthermore, we document that better institutional quality reduces the sovereign default risk in both developed and developing economies. However, global shocks appear to have a strong impact in developing economies. The results remain robust to various specifications.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"27 1","pages":"35-60"},"PeriodicalIF":1.2,"publicationDate":"2023-10-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135436039","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Bubble detective: City-level analysis of house price cycles 泡沫侦探城市层面的房价周期分析
IF 1.2 4区 经济学
International Finance Pub Date : 2023-10-03 DOI: 10.1111/infi.12441
Serhan Cevik, Sadhna Naik
{"title":"Bubble detective: City-level analysis of house price cycles","authors":"Serhan Cevik,&nbsp;Sadhna Naik","doi":"10.1111/infi.12441","DOIUrl":"10.1111/infi.12441","url":null,"abstract":"<p>This paper investigates house price dynamics at high frequency using city-level observations during the period 1994–2022 in Lithuania. We employ multiple time series-based econometric procedures to examine whether real house prices and house price-to-rent ratios exhibit explosive behaviour. According to these recursive right-tailed test results, we reject the null hypothesis of no-bubble and find evidence for long and multiple periods of explosive behaviour in the housing market in all major cities during the sample period. While the size of bubbles varies across cities, especially when we use the house price-to-rent ratio, there is clearly a similar boom-bust pattern in Lithuania. Large house price corrections can in turn have adverse effects on economic performance and financial stability, as experienced during the global financial crisis and other episodes in history.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"27 1","pages":"2-16"},"PeriodicalIF":1.2,"publicationDate":"2023-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135738916","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Financialization and sluggish recovery of firms' investment: Global evidence from the 2007–2008 financial crisis 金融化与企业投资缓慢复苏:来自2007-2008年金融危机的全球证据
IF 1.2 4区 经济学
International Finance Pub Date : 2023-10-03 DOI: 10.1111/infi.12439
Mingjin Luo, Shenqguan Wang
{"title":"Financialization and sluggish recovery of firms' investment: Global evidence from the 2007–2008 financial crisis","authors":"Mingjin Luo,&nbsp;Shenqguan Wang","doi":"10.1111/infi.12439","DOIUrl":"10.1111/infi.12439","url":null,"abstract":"<p>After the financial crisis of 2007–2008, the global economy witnessed a trend of sluggish investment recovery and continuous deepening of financialization. Using data on nonfinancial firms from 108 countries over the period from 2000 to 2017, we examine the impact of financialization on firms' postcrisis investment recovery with a probit model. We find that firms' financialization inhibited postcrisis investment recovery, and this finding remains stable under a series of robustness checks. Further discussion shows the hindering impact of financialization on investment recovery is especially dominant among firms with severe financial constraints and firms from advanced economies. Higher financial market yield also exacerbates the restraint effect of financialization on investment recovery.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"26 3","pages":"344-363"},"PeriodicalIF":1.2,"publicationDate":"2023-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135738758","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Role of weather in the natural gas market: Insights from the STL-GARCH-W method 天气在天然气市场中的作用:来自STL - GARCH - W方法的见解
IF 1.2 4区 经济学
International Finance Pub Date : 2023-08-25 DOI: 10.1111/infi.12437
Lijuan Peng, Zhenglan Xia, Yisu Huang, Zhigang Pan
{"title":"Role of weather in the natural gas market: Insights from the STL-GARCH-W method","authors":"Lijuan Peng,&nbsp;Zhenglan Xia,&nbsp;Yisu Huang,&nbsp;Zhigang Pan","doi":"10.1111/infi.12437","DOIUrl":"10.1111/infi.12437","url":null,"abstract":"<p>Weather has been shown to affect natural gas markets, but there is limited research on the strength and manner in which weather affects predictions of natural gas volatility. In this study, six weather indicators are used as exogenous variables, and seasonal-trend decomposition-generalized autoregressive conditional heteroskedasticity-Weather (STL-GARCH-W) and STL-GJR-GARCH-W models are constructed to explore the effect of weather on global natural gas market. The empirical findings indicate that temperature and precipitation have a notable positive effect on natural gas, while solar radiation has a prominent negative effect. Furthermore, the STL-GARCH-W model outperform the STL-GJR-GARCH-W model and the benchmark STL-GARCH model when temperature, precipitation, and solar radiation are considered. In addition, the January effect has been shown to significantly influence natural gas price volatility. Finally, most parameters in both models are of statistical significance, demonstrating that both models accurately forecast natural gas volatility and emphasizing the importance of weather indicators for modelling natural gas price volatility. Our study provides new insights for energy market investors and policy makers.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"26 3","pages":"304-323"},"PeriodicalIF":1.2,"publicationDate":"2023-08-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43886923","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Content: International Finance 26/2 内容:国际金融26/2
IF 1.2 4区 经济学
International Finance Pub Date : 2023-08-10 DOI: 10.1111/infi.12436
{"title":"Content: International Finance 26/2","authors":"","doi":"10.1111/infi.12436","DOIUrl":"10.1111/infi.12436","url":null,"abstract":"","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"26 2","pages":"111"},"PeriodicalIF":1.2,"publicationDate":"2023-08-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/infi.12436","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42224551","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Government bond rates and interest expenditure of large euro area member states: A scenario analysis 欧元区大型成员国政府债券利率与利息支出的情景分析
IF 1.2 4区 经济学
International Finance Pub Date : 2023-07-19 DOI: 10.1111/infi.12434
Veronika Grimm, Lukas Nöh, Volker Wieland
{"title":"Government bond rates and interest expenditure of large euro area member states: A scenario analysis","authors":"Veronika Grimm,&nbsp;Lukas Nöh,&nbsp;Volker Wieland","doi":"10.1111/infi.12434","DOIUrl":"10.1111/infi.12434","url":null,"abstract":"<p>This paper assesses the possible development of government interest expenditures for Germany, France, Italy and Spain. Until 2021, governments could anticipate a substantial further reduction in interest expenditure. This outlook has changed drastically with the surge in inflation and government bond rates. Assuming that bond rates remain at the levels implied by yield curves from December 2022, interest expenditure rises substantially. We also examined scenarios with a further upward shift in yield curves by one or two percentage points. They indicate major medium-term risks for highly indebted member states with interest expenditure approaching or exceeding levels last observed on the eve of the euro area debt crisis. Governments should take action to achieve a decline in debt-to-GDP ratios towards safe levels. They need to make sure public debt remains sustainable at the higher interest rates that are required to achieve price stability in the euro area.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"26 3","pages":"286-303"},"PeriodicalIF":1.2,"publicationDate":"2023-07-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://onlinelibrary.wiley.com/doi/epdf/10.1111/infi.12434","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42890625","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Are overconfident CEOs better able to transform innovation into firm value?—Evidence from the United States 过于自信的CEO们是否能够更好地将创新转化为公司价值--来自美国的证据
IF 1.2 4区 经济学
International Finance Pub Date : 2023-06-06 DOI: 10.1111/infi.12433
Mike Eom, Mookwon Jung, Jung Chul Park
{"title":"Are overconfident CEOs better able to transform innovation into firm value?—Evidence from the United States","authors":"Mike Eom,&nbsp;Mookwon Jung,&nbsp;Jung Chul Park","doi":"10.1111/infi.12433","DOIUrl":"10.1111/infi.12433","url":null,"abstract":"<p>We use innovation premium (IP), proposed by Forbes, as a proxy for firm innovation to present evidence that firm value is positively associated with IP. The positive impact of the IP on firm value is amplified by overconfident CEOs, particularly in the high-tech and biotech industries with a high proportion of intellectual capital and intangible assets. In a series of tests, we confirm that the results hold after controlling for endogeneity. our findings are consistent with the notion that the beneficial effect of corporate innovations generated by overconfident CEOs exists primarily in industries where innovations are in critical demand.</p>","PeriodicalId":46336,"journal":{"name":"International Finance","volume":"26 2","pages":"241-258"},"PeriodicalIF":1.2,"publicationDate":"2023-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49632511","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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